Amending Working OrdersThe Order Cancel-Replace Request message (MsgType=G) is used by the T4 FIX API to electronically amend (i.e. revise) the replaceable fields of working orders. This message is used for all CTS strategy types including outright futures, futures options, spreads and multileg strategies.
The instrument (for which the replace applies) is identified with the following tags: Tag 48 (SecurityID), Tag 55 (Symbol) Tag 207 (SecurityExchange) and Tag 167 (SecurityType). Options orders must also include the Strike Price (Tag 202) and the PutOrCall indicator (Tag 201).
In addition to full market specification, all cancel-replaces must be uniquely identified with a verbose (# characters >= 12 and <= 20) Client Order Id (Tag 11). The subscribed account (for which the replace order is submitted) must also be entered.
Replaceable FieldsThe fields that can be replaced are:
| Tag | Tag Number | Comments |
|---|
| Order Quantity | 38 | For all Orders |
| Price | 44 | For Limits, Stop Limits and Market-If-Touched |
| Stop Price | 99 | For Stops and Stop Limits |
| MaxShow | 210 | For Icebergs (if supported by Exchange) |
| Trailing Delta | 10100 | For Trailing Stops |
| Activation Value | 10103 | For Activation Orders |
Identifying the Order to be ReplacedWorking orders to be replaced can be identified with the working order (client-side) identifier or the (T4 FIX API generated) order identifier. For the replace message, the OrigClOrdId (Tag 41) and the OrderId (Tag 37) are the corresponding fields. Working orders that have experienced previous rejections can subsequently be replaced with OrderId (Tag 37) or by using the ClOrdId (Tag 11) of the previous rejection.
Orders submitted outside the T4 FIX API (e.g. with the CTS T4 Front-End and/or custom T4 API application) can only be replaced with OrderId (Tag 37). In this case, as OrigOrdClId is undetermined but is a required tag for the replace order, the OrigOrdClId (Tag 41) is set to the value of the OrderId (Tag 37). To cover all scenarios, it is recommended that both OrigClOrdId (Tag 41) and OrderId (Tag 37) be specified for all cancel-replaces.
Activating Queued OrdersFor the specific case of Queue Orders, the cancel replace message is used to activate a (held/suspended) queued order. In addition to specifying the correct market and its target order id, the Activation Value (Tag 10102) must be set to -1.
Important ConsiderationsNote that malformed replace orders (including missing required tags, empty tags, invalid tag value range, etc.) will be rejected with a FIX Session
Reject message. Application level rejections are manifested with
Cancel Reject messages.
Please note that
all order routing including the submission of cancel-replace orders must be preceded by a successful subscription to the account the cancel-replace is submitted for. Please refer to the
Collateral Inquiry message on how to subscribe to customer accounts.
Contigent (multiple-component) orders like OCO's and AutoOCO's can only be replaced one component at a time. The individual components are identified by their OrigClOrdID (Tag 41) and/or (Tag 37) OrderID as explained above.
Message Dictionary
| Tag | Field Name | Req'd | Comments |
|---|
| Standard Header | Y | MsgType = G |
| 1 | Account | Y | Account (code) for which the order is submitted. |
| 11 | ClOrdID | Y | (Client-Side) identifier for this replace order. Must be unique. Maximum number of characters: 20. |
| 41 | OrigClOrdID | Y | (Client-Side) ClOrdID of the target working order. (NOT the initial order of the chain). Maximum number of characters: 20. |
| 37 | OrderId | Y | Unique identifier (previously assigned by T4 API servers) of the target working order. OrderId uniqueness is guaranteed across all trading sessions regardless of order origin. |
| 48 | SecurityID | Y | Security identifier. This is the T4 Market ID. |
| 55 | Symbol | Y | Symbol. This is the T4 Contract ID. |
| 207 | SecurityExchange | Y | Exchange at which the security trades. This is the T4 Exchange ID. |
| 167 | SecurityType | Y | Instrument type. Futures="FUT", Options="OPT", Stock="STK", Synthetic="SYN", Binary Option="BIN" |
| 201 | PutOrCall | N | For Options. Indicates whether an Option is for a Put or Call. Valid values are: |
| | | 0 = Put |
| | | 1 = Call |
| 202 | StrikePrice | N | For Options. Indicates the Strike Price of the Option. |
| 54 | Side | Y | Side of the market. Valid values are: |
| | | 0 = None (used for Flatten orders) |
| | | 1 = Buy |
| | | 2 = Sell |
| 38 | OrderQty | Y | The number of contracts to be replaced. For partially filled orders, this value reflects the working order's original Quantity (OrderQty) and not its remaining (unfilled) quantity. |
| 210 | MaxShow | N | Maximum quantity of order contracts to be shown to other market participants. Only supported by certain exchanges. |
| 40 | OrdType | Y | Order Type (in reference to Price). Refer to T4 User Guide for details on Special Order Types. Note that some order types cannot practically be replaced (e.g. Flatten, Hit and Market). The valid order type values are: |
| | | 1 = Market |
| | | 2 = Limit |
| | | 3 = Stop |
| | | 4 = Stop-Limit |
| | | J = Market If Touched |
| | | F = Flatten |
| | | N = Join |
| | | H = Hit |
| 44 | Price | N | Order Price. Required for Limit, Stop-Limit and Market-if-Touched order types. Auto OCO: Value is relative from the Trigger Price (Tag 10101). Negative value is allowed. |
| 99 | StopPx | N | Stop Order Price. Required for Stops and Stop-Limit order types. Auto OCO: Value is relative from the Trigger Price (Tag 10101). Negative value is allowed. |
| 59 | TimeInForce | Y | Specifies how long the order remains in effect. Valid values are: |
| | | 0 = Day |
| | | 1 = Good Til Cancel |
| | | 3 = Immediate Or Cancel |
| | | 4 = Fill Or Kill |
| 200 | MaturityMonthYear | N | Time Maturity of the Security. Specified in the format YYYYMM (e.g. 201212) |
| 60 | TransactTime | Y | Time this order was requested for. Specified in UTC form. |
| 21 | HandlInst | N | Instructions for order handling on Broker trading floor. Valid values are: |
| | | 1 = Automated execution order, private, no Broker intervention. Default. |
| | | 2 = Automated execution order, public, Broker intervention OK |
| | | 3 = Manual order, best execution |
| 77 | OpenClose | N | Indicates whether the resulting position (after a trade) should be an opening position or closing position. |
| | | O = Open |
| | | C = Close |
| 58 | Text | N | Free form Text. |
| 107 | SecurityDesc | N | Description of the specified Security ID (Tag 48) |
| 1028 | ManualOrderIndicator | N | Indicates if the order was sent Manually (i.e. order action is immediate from a human). Valid values are: |
| | | Y = Order was entered Manually |
| | | N = Order was entered by an Automated System, Program or Algorithm |
| 10100 | TrailingDelta | N | Price amount by which a Stop order will trail the current market. Only used for Trailing Stops. |
| 10103 | ActivationValue | N | Condition associated with Activation Type. Multiple values are delineated by a colon (";"). Refer to T4 API Guide for Activation Value rules. |
| | Standard Trailer | Y |
Sample MessagesReplacing a Working Order entered through the T4 FIX API
[FIXCANCELREPLACE] 34=121|49=T4Example|56=T4|50=TraderName|52=20121212-16:43:37.426|1=Account1|11=fr-634909058174264921|41=fn-634909058088464770|37=C8D64D65-7FCD-472B-9A55-3E77F404F1BE|48=CME_20121200_ESZ2|55=ES|207=CME_Eq|54=1|38=1|40=2|44=143025|59=0|167=FUT|21=1|60=20121212-16:43:37.426|204=0|
[MsgSeqNum] 34 = 121
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20121212-16:43:37.426
[Account] 1 = Account1
[ClOrdID] 11 = fr-634909058174264921
[OrigClOrdID] 41 = fn-634909058088464770
[OrderID] 37 = C8D64D65-7FCD-472B-9A55-3E77F404F1BE
[SecurityID] 48 = CME_20121200_ESZ2
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 143025
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20121212-16:43:37.426
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[fixexecutionreport] 34=5702|49=T4|56=T4Example|50=T4FIX|52=20121212-16:43:37.457|143=US,IL|1=Account1|11=fr-634909058174264921|41=fn-634909058088464770|17=48187.71332576498_ESZ2.63490905838440000012.1.C8D64D65|150=5|37=C8D64D65-7FCD-472B-9A55-3E77F404F1BE|39=5|48=CME_20121200_ESZ2|55=ES|207=CME_Eq|200=201212|59=0|107=E-mini S&P 500 Dec12|54=1|167=FUT|38=1|40=2|44=143025|60=20121212-16:43:58.440|
[MsgSeqNum] 34 = 5702
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121212-16:43:37.457
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fr-634909058174264921
[OrigClOrdID] 41 = fn-634909058088464770
[ExecID] 17 = 48187.71332576498_ESZ2.63490905838440000012.1.C8D64D65
[ExecType] 150 = 5 (REPLACE)
[OrderID] 37 = C8D64D65-7FCD-472B-9A55-3E77F404F1BE
[OrdStatus] 39 = 5 (REPLACED)
[SecurityID] 48 = CME_20121200_ESZ2
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201212
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Dec12
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 143025
[TransactTime] 60 = 20121212-16:43:58.440
Replacing a Working Order entered through the CTS Front-end
[FIXCANCELREPLACE] 34=6|49=T4Example|56=T4|50=TraderName|52=20121212-18:05:57.929|1=Account1|11=fr-634909107579297721|41=FA657BC9-A1D2-4644-B558-A1155C731DA4|37=FA657BC9-A1D2-4644-B558-A1155C731DA4|48=CME_20121200_ESZ2|55=ES|207=CME_Eq|54=1|38=1|40=2|44=143075|59=0|167=FUT|21=1|60=20121212-18:05:57.929|204=0|
[MsgSeqNum] 34 = 6
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = TraderName
[SendingTime] 52 = 20121212-18:05:57.929
[Account] 1 = Account1
[ClOrdID] 11 = fr-634909107579297721
[OrigClOrdID] 41 = FA657BC9-A1D2-4644-B558-A1155C731DA4
[OrderID] 37 = FA657BC9-A1D2-4644-B558-A1155C731DA4
[SecurityID] 48 = CME_20121200_ESZ2
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[Side] 54 = 1 (BUY)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 143075
[TimeInForce] 59 = 0 (DAY)
[SecurityType] 167 = FUT (FUTURE)
[HandlInst] 21 = 1 (AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION)
[TransactTime] 60 = 20121212-18:05:57.929
[CustomerOrFirm] 204 = 0 (CUSTOMER)
[fixexecutionreport] 34=236|49=T4|56=T4Example|50=T4FIX|52=20121212-18:05:58.023|143=US,IL|1=Account1|11=fr-634909107579297721|17=48199.71332626389_ESZ2.63490910779020000012.1.FA657BC9|150=5|37=FA657BC9-A1D2-4644-B558-A1155C731DA4|39=5|48=CME_20121200_ESZ2|55=ES|207=CME_Eq|200=201212|59=0|107=E-mini S&P 500 Dec12|54=1|167=FUT|38=1|40=2|44=143075|60=20121212-18:06:19.020|
[MsgSeqNum] 34 = 236
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121212-18:05:58.023
[TargetLocationID] 143 = US,IL
[Account] 1 = Account1
[ClOrdID] 11 = fr-634909107579297721
[ExecID] 17 = 48199.71332626389_ESZ2.63490910779020000012.1.FA657BC9
[ExecType] 150 = 5 (REPLACE)
[OrderID] 37 = FA657BC9-A1D2-4644-B558-A1155C731DA4
[OrdStatus] 39 = 5 (REPLACED)
[SecurityID] 48 = CME_20121200_ESZ2
[Symbol] 55 = ES
[SecurityExchange] 207 = CME_Eq
[MaturityMonthYear] 200 = 201212
[TimeInForce] 59 = 0 (DAY)
[SecurityDesc] 107 = E-mini S&P 500 Dec12
[Side] 54 = 1 (BUY)
[SecurityType] 167 = FUT (FUTURE)
[OrderQty] 38 = 1
[OrdType] 40 = 2 (LIMIT)
[Price] 44 = 143075
[TransactTime] 60 = 20121212-18:06:19.020
FIX API Home Page.